Respon Nilai Tukar dan Neraca Transaksi Berjalan Indonesia terhadap Dinamika Kebijakan Moneter Indonesia

Abstract

The research aims to analyze the dynamic relationship between exchange rate, current accounts, and monetary policy in Indonesia. Specifically, this research answers two questions: 1) Causality between Bank Indonesia Cerficates (SBI), current accounts, and exchange rate; 2) Response of exchange rate and current accounts due to changes in Bank Indonesia Cerficates (SBI). The analysis is purely based on the theories of Mundell-Fleming, Marshall-Lerner Condition, and Interest Rate Parity. This research uses quaterly time series data during 2005.3 – 2015.1 sourced from Bank Indonesia and World Bank. Granger Causality Test and Vector Autoregressive (VAR) are used as the method of analysis. The variable of monetary policy is measured by the Bank Indonesia Cerficates (SBI), exchange rate is measured by Real effective exchange rate index, and current accounts is measured by the balance in the current accounts. The estimation results shows that Granger causality runs one-way from Bank Indonesia Cerficates (SBI) to current accounts. Not granger cause between Bank Indonesia Cerficates (SBI)and exchange rate. Granger causality runs one-way from exchange rate to the current accounts. On the other side, response of exchange rate and current account is positive during the shock of Bank Indonesia Cerficates (SBI). However, current accounts requires more time than the exchange rate to reach the equilibrium before the shock of Bank Indonesia Cerficates (SBI).